Please wait/ loader in the while is loading another scenario
I need to put a loader, a please wait or something similar when I send
  the command to change the scenario in BGE. I really don't know how to
  implement this. Can anyone help me?


1) Show a scene that tells the audience that a scenario gets loaded.

It can be a simple text.
 

which is shown this way



2) after rendering one frame switch the scene



The last frame from 1) will be shown until the scene from 2) is loaded completely. The duration depends on the size and complexity of the next scene (and the speed of the hardware).

Ensure the first scene rendered at least one frame (therefore the delay sensor).

Be aware this method does not work with animations. The game will be suspended until the next scene is fully loaded. This also applies when the next scene is loaded as overlay or background scene.